Hi Susanne. The mixtools package does not do this automatically and I
would be surprised if there were any package that does. However, it's
not in principle too difficult to write code to implement an EM
algorithm to search for a maximum likelihood estimator in a finite
mixture model. Check out a reference on finite mixture models that
discusses EM algorithms (e.g., Section 2.2 of http://www.stat.psu.edu/~dhunter/papers/mixtools.pdf
although there are undoubtedly better references out there for this
purpose).
In the case of components that are assumed to be noncentral Student t
distributions, you may have a bit of trouble since if I remember
correctly, it is not easy to do MLE even for the non-mixture case
here. That said, in general, writing an EM algorithm for the finite-
mixture-model case is not much more difficult computationally than
writing code for MLE in the non-mixture case. This means that you
could try expanding your search to include other packages that might
do MLE for the (non-mixture) case of noncentral t distributions. If
such a package exists, then it shouldn't be too hard to write your own
mixture-model EM wrapper.
Hope this helps. Good luck!
Dave
David Hunter
Associate professor
Department of Statistics
Penn State University
Phone: (814) 863-0979
Fax: (814) 863-7114
www.stat.psu.edu/~dhunter
On Jun 13, 2009, at 7:54 AM, Balzer Susanne wrote:
Dear all,
I am attempting to model some one-dimensional data using a mixture
model
of non-central Student's t distributions. However, I haven't been able
to find any R package that provides this functionality.
Could there be a way to "manipulate" the EM algorithms from the
mixdist
or mixtools package to fit the model, or do you have any other
suggestions?
If anyone could help me out, I would be extremely grateful.
Kind regards,
Susanne Balzer
****************************
Susanne Balzer
PhD Student
Institute of Marine Research
N-5073 Bergen, Norway
Phone: +47 55 23 69 45
susanne.bal...@imr.no
www.imr.no
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